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@Book{Aronson2006,
  title       = {Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals},
  publisher   = {Wiley},
  year        = {2006},
  author      = {David Aronson},
  month       = {Nov},
  author_sort = {Aronson, David},
}

@Article{Bailey2014pm,
  author  = {Bailey, David H and Borwein, Jonathan M and {L{\'o}pez de Prado}, Marcos and Zhu, Qiji Jim},
  title   = {Pseudomathematics and financial charlatanism: The effects of backtest {O}ver fitting on out-of-sample performance},
  journal = {Notices of the AMS},
  year    = {2014},
  volume  = {61},
  number  = {5},
  pages   = {458--471},
}

@Article{Bailey2014probability,
  author    = {Bailey, David H and Borwein, Jonathan M and L{\'o}pez de Prado, Marcos and Zhu, Qiji Jim},
  title     = {The probability of backtest overfitting},
  year      = {2017},
  volume    = {20},
  number    = {4},
  pages     = {39-69},
  doi       = {10.21314/JCF.2016.322},
  timestamp = {2017-07-31},
  url       = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253},
}

@Article{Bailey2014drawdown,
  author  = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
  title   = {Drawdown-Based Stop-Outs and the 'Triple Penance' Rule},
  journal = {Journal of Risk},
  year    = {forthcoming, 2014},
  url     = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2201302},
}

@Article{Bailey2014deSharpe,
  author    = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
  title     = {The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality},
  journal   = {Journal of Portfolio Management},
  year      = {2014},
  volume    = {40},
  number    = {5},
  pages     = {94-107},
  abstract  = {With the advent in recent years of large financial data sets, machine learning, and high-performance computing, analysts can back test millions (if not billions) of alternative investment strategies. Backtest optimizers search for combinations of parameters that maximize the simulated historical performance of a strategy, leading to back test overfitting. The problem of performance inflation extends beyond back testing. More generally, researchers and investment managers tend to report only positive outcomes, a phenomenon known as selection bias. Not controlling for the number of trials involved in a particular discovery leads to overly optimistic performance expectations. The deflated Sharpe ratio (DSR) corrects for two leading sources of performance inflation: Selection bias under multiple testing and non-normally distributed returns. In doing so, DSR helps separate legitimate empirical findings from statistical flukes.},
  doi       = {10.3905/jpm.2014.40.5.094},
  timestamp = {2017-07-30},
  url       = {http://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf},
}

@Article{Bailey2012,
  author  = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
  title   = {The Sharpe ratio efficient frontier},
  journal = {Journal of Risk},
  year    = {2012},
  volume  = {15},
  number  = {2},
  pages   = {13},
  url     = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1821643},
}

@Article{baquero2005,
  author    = {Baquero, Guillermo and Ter Horst, Jenke and Verbeek, Marno},
  title     = {Survival, look-ahead bias, and persistence in hedge fund performance},
  journal   = {Journal of Financial and Quantitative Analysis},
  year      = {2005},
  volume    = {40},
  number    = {03},
  pages     = {493--517},
  publisher = {Cambridge Univ Press},
  url       = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=371051},
}

@Article{Barnes2010,
  author    = {Barnes, Nick},
  title     = {Publish your computer code: it is good enough},
  journal   = {Nature},
  year      = {2010},
  volume    = {467},
  number    = {7317},
  pages     = {753--753},
  owner     = {brian},
  publisher = {Nature Publishing Group},
  timestamp = {2015.01.14},
  url       = {http://www.nature.com/news/2010/101013/full/467753a.html},
}

@Book{Box1987,
  title     = {Empirical model-building and response surfaces.},
  publisher = {John Wiley \& Sons},
  year      = {1987},
  author    = {Box, George E.P. and Draper, Norman R.},
}

@Article{Burns2006,
  author = {Burns, Patrick},
  title  = {Random Portfolios for Evaluating Trading Strategies},
  year   = {2006},
  url    = {http://www.burns-stat.com/pages/Working/evalstrat.pdf},
}

@Book{Carroll2011,
  title     = {The skeptic's dictionary},
  publisher = {John Wiley \& Sons},
  year      = {2011},
  author    = {Carroll, Robert},
  subtitle  = { a collection of strange beliefs, amusing deceptions, and dangerous delusions},
  url       = {http://skepdic.com/adhoc.html},
}

@Article{Cawley2010,
  author    = {Cawley, Gavin C and Talbot, Nicola LC},
  title     = {On over-fitting in model selection and subsequent selection bias in performance evaluation},
  journal   = {The Journal of Machine Learning Research},
  year      = {2010},
  volume    = {11},
  pages     = {2079--2107},
  owner     = {brian},
  publisher = {JMLR. org},
  timestamp = {2015.06.10},
  url       = {http://www.jmlr.org/papers/volume11/cawley10a/cawley10a.pdf},
}

@Article{Chang2015,
  author    = {Chang, Andrew C and Li, Phillip},
  title     = {Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say'Usually Not'},
  year      = {2015},
  publisher = {FEDS Working Paper},
  url       = {https://www.federalreserve.gov/econresdata/feds/2015/files/2015083pap.pdf},
}

@Article{Diedesch2014,
  author    = {Diedesch, Josh},
  title     = {2014 Forty Under Forty},
  journal   = {Chief Investment Officer},
  year      = {2014},
  publisher = {California State Teachers\' Retirement System},
  url       = {http://www.ai-cio.com/Forty_Under_Forty_2014.aspx?page=9},
}

@Book{Feynman1965,
  title  = {The Feynman Lectures on Physics},
  year   = {1965},
  author = {Feynman, Richard P and Leighton, Robert B and Sands, Matthew and Hafner, EM},
  volume = {1-3},
}

@Book{Fitschen2013,
  title     = {Building Reliable Trading Systems},
  publisher = {John Wiley \& Sons, Inc.},
  year      = {2013},
  author    = {Fitschen, Keith},
  ssubtitle = {Tradable Strategies That Perform as They Backtest and Meet Your Risk-Reward Goals},
}

@Misc{Fox2011,
  author    = {Fox, John and Weisberg, Sanford},
  title     = {Multivariate Linear Models in R},
  year      = {2011},
  owner     = {brian},
  publisher = {An Appendix to An R Companion to Applied Regression, Sage, Thousand Oaks, CA,},
  timestamp = {2015.01.13},
}

@Manual{parma2014,
  title  = {parma: portfolio allocation and risk management applications.},
  author = {Alexios Ghalanos and Bernhard Pfaff},
  year   = {2014},
  note   = {R package version 1.5-1.},
}

@Article{Hansen2005,
  author  = {Hansen,Peter R.},
  title   = {A Test for Superior Predictive Ability},
  journal = {Journal of Business and Economic Statistics},
  year    = {2005},
}

@Article{Harvey2013backtesting,
  author    = {Harvey, Campbell R. and Liu, Yan},
  title     = {Backtesting},
  journal   = {The Journal of Portfolio Management},
  year      = {2015},
  volume    = {41},
  number    = {1},
  pages     = {13-28},
  timestamp = {2017-07-31},
  url       = {http://ssrn.com/abstract=2345489},
}

@Article{Harvey2014,
  author  = {Harvey, Campbell R. and Liu, Yan},
  title   = {Evaluating Trading Strategies},
  journal = {Journal of Portfolio Management},
  year    = {2014},
  volume  = {40},
  number  = {5},
  pages   = {108-118},
  comment = {preprint at http://ssrn.com/abstract=2474755},
  url     = {https://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P116_Evaluating_trading_strategies.pdf},
}

@Article{Harvey2013multiple,
  author  = {Harvey, Campbell R. and Liu, Yan},
  title   = {Multiple Testing in Economics},
  journal = {SSRN},
  year    = {2013},
  url     = {http://ssrn.com/abstract=2358214},
}

@Book{Hastie2009,
  title     = {The elements of statistical learning: Data mining, inference, and prediction. Second Edition},
  publisher = {Springer},
  year      = {2009},
  author    = {Hastie, Trevor and Tibshirani, Robert and Friedman, Jerome},
}

@Book{Horowitz2014,
  title     = {The Hard Thing about Hard Things},
  publisher = {HarperCollins},
  year      = {2014},
  author    = {Horowitz, Ben},
  subtitle  = {Building a Business when There are No Easy Answers},
}

@Book{Ilmanen2011,
  title     = {Expected returns: an investor's guide to harvesting market rewards},
  publisher = {John Wiley \& Sons},
  year      = {2011},
  author    = {Ilmanen, Antti},
}

@Article{Ince2012,
  author    = {Ince, Darrel C and Hatton, Leslie and Graham-Cumming, John},
  title     = {The case for open computer programs},
  journal   = {Nature},
  year      = {2012},
  volume    = {482},
  number    = {7386},
  pages     = {485--488},
  owner     = {brian},
  publisher = {Nature Publishing Group},
  timestamp = {2015.01.14},
  url       = {http://www.nature.com/nature/journal/v482/n7386/pdf/nature10836.pdf},
}

@Article{Ioannidis2005,
  author    = {Ioannidis, John PA},
  title     = {Why most published research findings are false},
  journal   = {PLoS medicine},
  year      = {2005},
  volume    = {2},
  number    = {8},
  pages     = {e124},
  owner     = {brian},
  publisher = {Public Library of Science},
  timestamp = {2015.01.29},
  url       = {http://journals.plos.org/plosmedicine/article?id=10.1371/journal.pmed.0020124#s6},
}

@Book{Jones1999,
  title     = {The trading game},
  publisher = {John Wiley \& Sons},
  year      = {1999},
  author    = {Jones, Ryan},
  owner     = {brian},
  ssubtitle = {playing by the numbers to make millions},
  timestamp = {2015.08.13},
}

@Article{Kaastra1996,
  author    = {Kaastra, Iebeling and Boyd, Milton},
  title     = {Designing a neural network for forecasting financial and economic time series},
  journal   = {Neurocomputing},
  year      = {1996},
  volume    = {10},
  number    = {3},
  pages     = {215--236},
  owner     = {brian},
  publisher = {Elsevier},
  timestamp = {2015.05.19},
}

@Book{Kaufman2013,
  title     = {Trading systems and methods},
  publisher = {John Wiley \& Sons},
  year      = {2013},
  author    = {Kaufman, Perry J},
  edition   = {Fifth ed.},
  owner     = {brian},
  timestamp = {2015.08.12},
}

@Article{Keogh2003,
  author    = {Keogh, Eamonn and Kasetty, Shruti},
  title     = {On the need for time series data mining benchmarks: a survey and empirical demonstration},
  journal   = {Data Mining and knowledge discovery},
  year      = {2003},
  volume    = {7},
  number    = {4},
  pages     = {349--371},
  owner     = {brian},
  publisher = {Springer},
  timestamp = {2015.06.10},
  url       = {http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.13.2240&rep=rep1&type=pdf},
}

@Article{Kerr1998,
  author    = {Kerr, Norbert L},
  title     = {HARKing: Hypothesizing after the results are known},
  journal   = {Personality and Social Psychology Review},
  year      = {1998},
  volume    = {2},
  number    = {3},
  pages     = {196--217},
  file      = {:/home/brian/docs/Research/HARKing_ Hypothesizing_After_the_Results_are_Known_1998_Kerr.pdf:PDF},
  owner     = {brian},
  publisher = {Sage Publications},
  timestamp = {2016.02.25},
  url       = {http://psr.sagepub.com/content/2/3/196.abstract},
}

@Book{Kestner2003,
  title     = {Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
  publisher = {McGraw-Hill},
  year      = {2003},
  author    = {Kestner, Lars},
}

@Article{Kim2003,
  author    = {Kim, Kyoung-jae},
  title     = {Financial time series forecasting using support vector machines},
  journal   = {Neurocomputing},
  year      = {2003},
  volume    = {55},
  number    = {1},
  pages     = {307--319},
  owner     = {brian},
  publisher = {Elsevier},
  timestamp = {2015.05.19},
  url       = {http://www.cse.ust.hk/~leichen/courses/comp630p/collection/reference-1-23.pdf},
}

@Article{kording2016,
  author    = {Kording, Konrad P and Mensh, Brett},
  title     = {Ten simple rules for structuring papers},
  journal   = {bioRxiv},
  year      = {2016},
  pages     = {088278},
  owner     = {brian},
  publisher = {Cold Spring Harbor Labs Journals},
  timestamp = {2017.01.11},
}

@Book{Kuhn2013,
  title     = {Applied predictive modeling},
  publisher = {Springer},
  year      = {2013},
  author    = {Kuhn, Max and Johnson, Kjell},
  owner     = {brian},
  timestamp = {2015.05.20},
  url       = {http://appliedpredictivemodeling.com/},
}

@InProceedings{Sweave2002,
  author    = {Friedrich Leisch},
  title     = {Sweave: Dynamic Generation of Statistical Reports Using Literate Data Analysis},
  booktitle = {Compstat 2002 --- Proceedings in Computational Statistics},
  year      = {2002},
  editor    = {Wolfgang H{\"a}rdle and Bernd R{\"o}nz},
  pages     = {575--580},
  publisher = {Physica Verlag, Heidelberg},
  note      = {ISBN 3-7908-1517-9},
  url       = {http://www.stat.uni-muenchen.de/~leisch/Sweave},
}

@Article{Levy2006,
  author    = {Levy, Yair and Ellis, Timothy J},
  title     = {A systems approach to conduct an effective literature review in support of information systems research},
  journal   = {Informing Science: International Journal of an Emerging Transdiscipline},
  year      = {2006},
  volume    = {9},
  number    = {1},
  pages     = {181--212},
  owner     = {brian},
  publisher = {Informing Science Institute},
  timestamp = {2015.01.13},
  url       = {http://inform.nu/Articles/Vol9/V9p181-212Levy99.pdf},
}

@Book{goldman1998practice,
  title      = {The practice of risk management},
  publisher  = {Euromoney},
  year       = {1998},
  author     = {Litterman, Robert and Gumerlock, Robert},
  authorsort = {Litterman, Robert and Gumerlock, Robert},
  ssubtitle  = {Implementing processes for managing firmwide market risk},
}

@Article{Markowitz1994,
  author    = {Markowitz, Harry M and Xu, Gan Lin},
  title     = {Data mining corrections},
  journal   = {The Journal of Portfolio Management},
  year      = {1994},
  volume    = {21},
  number    = {1},
  pages     = {60--69},
  owner     = {brian},
  publisher = {Institutional Investor Journals},
  timestamp = {2015.08.19},
}

@Article{Moonesinghe2007,
  author    = {Moonesinghe, Ramal and Khoury, Muin J and Janssens, A Cecile JW},
  title     = {Most published research findings are false, but a little replication goes a long way},
  journal   = {PLoS medicine},
  year      = {2007},
  volume    = {4},
  number    = {2},
  pages     = {e28},
  owner     = {brian},
  publisher = {Public Library of Science},
  timestamp = {2015.01.29},
  url       = {http://journals.plos.org/plosmedicine/article?id=info:doi/10.1371/journal.pmed.0040028},
}

@Book{Narang2013,
  title     = {Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading},
  publisher = {John Wiley \& Sons},
  year      = {2013},
  author    = {Narang, Rishi K},
  owner     = {brian},
  timestamp = {2015.06.18},
}

@Book{Pardo2008,
  title       = {The evaluation and optimization of trading strategies},
  publisher   = {John Wiley \& Sons},
  year        = {2008},
  author      = {Robert Pardo},
  edition     = {Second ed.},
  month       = {Feb},
  author_sort = {Pardo, Robert},
}

@Article{Peng2011,
  author    = {Peng, Roger D},
  title     = {Reproducible research in computational science},
  journal   = {Science (New York, Ny)},
  year      = {2011},
  volume    = {334},
  number    = {6060},
  pages     = {1226},
  owner     = {brian},
  publisher = {NIH Public Access},
  timestamp = {2015.01.14},
  url       = {http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3383002/},
}

@TechReport{Peterson2015,
  author      = {Peterson, Brian G},
  title       = {Developing \& Backtesting Systematic Trading Strategies},
  institution = {DV Trading},
  year        = {2017},
  timestamp   = {2017-06-22},
  url         = {http://goo.gl/na4u5d},
}

@Manual{perfa2014,
  title    = {PerformanceAnalytics: Econometric tools for performance and risk analysis},
  author   = {Brian G. Peterson and Peter Carl},
  year     = {2017},
  subtitle = {R package version 1.5.2},
  url      = {http://CRAN.R-project.org/package=PerformanceAnalytics},
}

@Manual{porta2014,
  title    = {PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios},
  author   = {Brian G. Peterson and Peter Carl and Ross Bennett and Kris Boudt},
  year     = {2015},
  subtitle = {R package version 0.9.3581},
  url      = {http://r-forge.r-project.org/projects/returnanalytics/},
}

@Manual{quantstrat2014,
  title    = {quantstrat: Quantitative Strategy Model Framework},
  author   = {Brian G. Peterson and Joshua Ulrich and Jan Humme and Peter Carl and Jasen Mackie},
  year     = {2017},
  subtitle = {R package version 0.10.1},
  url      = {https://github.com/braverock/quantstrat},
}

@Manual{R2014,
  title        = {R: A Language and Environment for Statistical Computing},
  author       = {{R Core Team}},
  organization = {R Foundation for Statistical Computing},
  address      = {Vienna, Austria},
  year         = {2014},
  url          = {http://www.R-project.org/},
}

@Article{Racine2009,
  author  = {Racine, Jeffrey S and Parmeter, Christopher F},
  title   = {Data-driven model evaluation: a test for revealed performance},
  journal = {McMaster University},
  year    = {2012},
  url     = {http://socserv.mcmaster.ca/econ/rsrch/papers/archive/2012-13.pdf},
}

@Book{Rhodes2012,
  title     = {Dark sun: the making of the hydrogen bomb},
  publisher = {Simon and Schuster},
  year      = {2012},
  author    = {Rhodes, Richard},
}

@Article{Ripley2004,
  author  = {Ripley, Brian D},
  title   = {Selecting amongst large classes of models},
  journal = {Methods and models in statistics: In honor of Professor John Nelder, FRS},
  year    = {2004},
  pages   = {155--170},
}

@Misc{mistakes2011,
  author      = {Martha K. Smith},
  title       = {Common ~~ misteaks ~~ mistakes in using statistics: Spotting and Avoiding Them - Data Snooping},
  accessed    = {2014-09-23},
  author_sort = {Smith, Martha},
  url         = {https://www.ma.utexas.edu/users/mks/statmistakes/datasnooping.html},
}

@Article{Sullivan1999,
  author  = {Sullivan, Ryan and Timmermann, Allan and White, Halbert},
  title   = {Data snooping, technical trading rule performance, and the bootstrap},
  journal = {The Journal of Finance},
  year    = {1999},
  volume  = {54},
  number  = {5},
  pages   = {1647-1691},
}

@Book{Tomasini2009,
  title       = {Trading Systems: A New Approach to System Development and Portfolio Optimisation},
  year        = {2009},
  author      = {Emilio Tomasini and Urban Jaekle},
  month       = {Dec},
  author_sort = {Tomasini, Emilio \& Jaekle, Urban},
  title_sort  = {Trading Systems A New Approach to System Development and Portfolio Optimisation},
}

@Article{Tukey1962,
  author    = {Tukey, John W},
  title     = {The future of data analysis},
  journal   = {The Annals of Mathematical Statistics},
  year      = {1962},
  pages     = {1--67},
  publisher = {JSTOR},
  url       = {http://projecteuclid.org/euclid.aoms/1177704711},
}

@Book{Vince2009,
  title     = {The leverage space trading model},
  publisher = {John Wiley \& Sons},
  year      = {2009},
  author    = {Vince, Ralph},
  subtitle  = {Reconciling portfolio management strategies and economic theory},
}

@Book{Vince1992,
  title     = {The mathematics of money management},
  publisher = {John Wiley \& Sons},
  year      = {1992},
  author    = {Vince, Ralph},
  owner     = {brian},
  ssubtitle = {Risk Analysis Techniques for traders},
  timestamp = {2015.08.12},
}

@Article{Vlaeminck2013,
  author    = {Sven Vlaeminck},
  title     = {Research Data Management in Economic Journals},
  journal   = {American Economic Review, Open Economics},
  year      = {2013},
  owner     = {brian},
  timestamp = {2015.01.14},
  url       = {http://openeconomics.net/resources/data-policies-of-economic-journals/},
}

@Book{Weissman2005,
  title     = {Mechanical trading systems},
  publisher = {John Wiley \& Sons},
  year      = {2005},
  author    = {Weissman, Richard L},
  owner     = {brian},
  ssubtitle = {Pairing trader psychology with technical analysis},
  timestamp = {2015.08.12},
}

@Misc{Rmarkdown,
  author    = {Yihui Xie},
  title     = {R Markdown — Dynamic Documents for R},
  year      = {2014},
  owner     = {brian},
  timestamp = {2015.01.13},
  url       = {http://rmarkdown.rstudio.com/},
}

@Article{Economist2013,
  title     = {Unreliable Research: Trouble at the lab},
  journal   = {Economist},
  year      = {2013},
  month     = {Oct 19},
  owner     = {brian},
  timestamp = {2015.01.14},
  url       = {http://www.economist.com/news/briefing/21588057-scientists-think-science-self-correcting-alarming-degree-it-not-trouble},
}

@Article{Hendershott2014,
  author    = {Hendershott, Terrence and Menkveld, Albert J},
  title     = {Price pressures},
  journal   = {Journal of Financial Economics},
  year      = {2014},
  volume    = {114},
  number    = {3},
  pages     = {405--423},
  publisher = {Elsevier},
}

@Article{Menkveld2013,
  author    = {Menkveld, Albert J},
  title     = {High frequency trading and the new market makers},
  journal   = {Journal of Financial Markets},
  year      = {2013},
  volume    = {16},
  number    = {4},
  pages     = {712--740},
  publisher = {Elsevier},
}

@Article{Hendershott2011,
  author    = {Hendershott, Terrence and Riordan, Ryan},
  title     = {High frequency trading and price discovery},
  journal   = {Manuscript, University of California, Berkeley},
  year      = {2011},
  volume    = {3},
  publisher = {Citeseer},
}

@Article{Menkveld2016a,
  author    = {Menkveld, Albert J},
  title     = {The economics of high-frequency trading: Taking stock},
  journal   = {Annual Review of Financial Economics},
  year      = {2016},
  volume    = {8},
  pages     = {1--24},
  publisher = {Annual Reviews},
}

@Book{DeJong2009,
  title     = {The microstructure of financial markets},
  publisher = {Cambridge University Press},
  year      = {2009},
  author    = {De Jong, Frank and Rindi, Barbara},
}

@Article{Rindi2008,
  author    = {Rindi, Barbara},
  title     = {Informed traders as liquidity providers: Anonymity, liquidity and price formation},
  journal   = {Review of Finance},
  year      = {2008},
  volume    = {12},
  number    = {3},
  pages     = {497--532},
  publisher = {Oxford University Press},
}

@Article{Cont2014,
  author    = {Cont, Rama and Kukanov, Arseniy and Stoikov, Sasha},
  title     = {The price impact of order book events},
  journal   = {Journal of financial econometrics},
  year      = {2014},
  volume    = {12},
  number    = {1},
  pages     = {47--88},
  publisher = {Oxford Univ Press},
}

@Misc{White2000,
  author     = {Halbert L. White},
  title      = {System and method for testing prediction models and/or entities},
  month      = jul #{~11},
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@InBook{Golub2017,
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@Comment{jabref-meta: databaseType:bibtex;}
